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st: Re: Panel VAR

From   "Scott Merryman" <>
To   <>
Subject   st: Re: Panel VAR
Date   Thu, 24 Apr 2003 17:29:19 -0500

----- Original Message -----
From: "Rob Williams" <>
To: <>
Sent: Thursday, April 24, 2003 2:06 PM
Subject: st: Panel VAR

> I'd like to use Stata to do a panel vector autoregression.  The var and
> commands don't seem to be capable of doing a panel VAR.  Does anyone know
> a user-written .ado file out there for panel VARs?
> Thanks for any help you can provide.
> -Rob Williams

There is a World Bank working paper entitled "Financial Development and
Dynamic Investment Behavior: Evidence From Panel Vector Autoregression" by
Inessa Love and Lea Zicchino    (at: ) in which Stata was used.
They do report that the Stata programs used are available from the authors.


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